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I use daily OHLCV USDJPY data (from 2014-01-01 to 2017-01-20) and application of some models to forecast the highest and lowest price :
- Auto Arima models
- Exponential Time Series
- Univariate Garch models
- Exponential Weighted Moving Average
- Monte Carlo Markov Chain
- Bayesian Time Series
- Midas
For the staking model, I simply forecast the highest and lowest price, and then :
- Kelly criterion and using highest or lowest price for closing transaction, otherwise using closing price if the forecasted lowest/highest price is not occur.
- Placed $100 an each of the forecasted variance value and do the settlement based on the real variance value.
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